The Bitcoin volume-volatility relationship: A high frequency analysis of futures and spot exchanges
利用高频日内数据估计日度已实现波动率，研究比特币期货与现货市场的成交量-波动率关系，发现意外成交量是现货波动率的关键解释变量，而期货成交量对系统性波动影响有限甚至起平抑作用。
We examine the volume-volatility relationship across Bitcoin futures and spot markets, using daily realised volatility measures estimated from high frequency intraday data. We estimate realised spot volatility across five major exchanges using both the standard volume weighted price and using a new approach, inspired by the CME Bitcoin Reference Rate methodology. We find that unexpected trading volume is the most important explanatory variable for BRR spot volatility, explaining 20% of variation in price volatility at exchange level. Conversely, we find that both expected and unexpected CME Bitcoin futures volumes play a very limited or even calming role in systemic volatility. Our findings suggest that CME Bitcoin futures are not independently contributing to systemic risk in Bitcoin over the period studied.